One important reason to study religion is to better understand history. Most historical events have been at least influenced, if not directly caused, by religious belief, and so it is easier to understand the motivations of ancient civilizations and rulers when their religious beliefs are fully defined. This allows a better understanding of human nature, and gives insight into world events that would be lost if taken from a purely secular viewpoint.
Another reason is for personal spiritual growth. While many religious people do the bare minimum -- attending services, tithing, acting in a manner consistent with their religion's morality -- others feel that they cannot truly connect with their religion without studying its roots and those who practiced it in the past. This allows a focus on the individual instead of on the religious collective, and a person who studies their own religion will understand their own belief system better.
Finally, a person might study multiple religions if they feel that their own religion is not accurate or not serving their needs. By examining other religions and seeing where personal beliefs cross over, a person can decide if a switch or abandonment of religion is necessary. This can also give a person a better understanding of where their religion stands in comparison.
All in all, the best reason to study religion is the same reason to study anything: to be better informed and to make better decisions. A person cannot make an informed decision without the knowledge that comes from objective examination.